Refer to the documentation available with the particular source and/or consult a standard citation manual.
Below are listed a few broad searches in the library catalog that will retrieve titles relevant to U.S. economic data. Use the facets in the left column of the results screen to filter the results or check the "Search within results" box to focus your search.
Much of the data mentioned in this guide is from the Census Bureau and Bureau of Economic Analysis (BEA) (both part of under the Economics and Statistics Administration of the U.S. Department of Commerce) and by the Bureau of Labor Statistics (BLS) of the U.S. Department of Labor.
Books that explain various economic indicators and terms, and how the figures are determined.
Collection and analysis methods differ from one government agency to another, so similarly labeled data may not actually be equivalent. This can especially be a problem when trying to cobble together long time series from multiple sources.
Consult the source's documentation, looking for anything about "methodology." The Bureau of Labor Statistics (BLS) publishes a Handbook of Methods (Also in paper: Perkins Ref. U.S. L 2.3:2490) detailing their statistical concepts, definitions, sources, methods, and procedures.